The rule in plain words
IMM (for derivatives and SFTS), alpha used for computing regulatory exposure value cannot be negative.
EBA checks it on two sheets: all CCR exposures and all CCR exposures excluding exposures to central counterparties (CCPs). That makes two checks. A failure names the one that failed.
How the Line4 Check report words itShowHide
The first of its checks, word for word as the report shows it when it fails. The others read the same, with their own column, row or sheet.
Alpha used for computing regulatory exposure value: IMM (for derivatives and SFTS), All CCR exposures excluding exposures to central counterparties (CCPs) >= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 04It runs only when your filing indicators mark C 34.02 as reported.
- 05This is a warning. It does not stop the filing on its own, but your authority may ask you to explain it.
The cells it reads
CCR exposures by approach (CCR 2) (C 34.02.b)
Row
- 0040IMM (for derivatives and SFTS)
Column
- 0140Alpha used for computing regulatory exposure value
Sheets
- 0001All CCR exposures
- 0002All CCR exposures excluding exposures to central counterparties (CCPs)
A worked example
The first of its checks, with simple numbers.
IMM (for derivatives and SFTS), alpha used for computing regulatory exposure value must then be at least 0.
A file that reports 0 passes. One that reports -100 fails, by 100.
The numbers are illustrative.
Show the rule as writtenShowHide
EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_34.02.b,r0040,c0140,s0002} >= 0The next one:
{C_34.02.b,r0040,c0140,s0001} >= 0Other rules on C 34.02.b
- None of the 16 values it checks in CCR exposures by approach (CCR 2) can be negative (v90234_s)Warning
- None of the 80 values it checks in CCR exposures by approach (CCR 2) can be negative (v90236_s)Warning
- None of the 88 values it checks in CCR exposures by approach (CCR 2) can be negative (v90237_s)Warning
- Exposure value for calculating s-TREA cannot be negative (v90238_s)Warning
- Memorandum items: RWEA related to the impact of application of article 465(4) of regulation (EU) no 575/2013 cannot be negative (v90239_s)Warning
- Total, number of counterparties cannot be negative (v90240_s)Warning
- Exposure value must equal the sum of its two parts (v90326_m)Warning
- Risk weighted exposure amounts must equal the sum of its two parts (v90327_m)Warning
Every COREP own funds rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.